Nowcasting in a Pandemic using Non-Parametric Mixed Frequency VARs
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Abstract (arXiv)
This paper develops Bayesian econometric methods for posterior inference in non-parametric mixed frequency VARs using additive regression trees. We argue that regression tree models are ideally suited for macroeconomic nowcasting in the face of extreme observations, for instance those produced by the COVID-19 pandemic of 2020. This is due to their flexibility and ability to model outliers. In an application involving four major euro area countries, we find substantial improvements in nowcasting performance relative to a linear mixed frequency VAR.
Key facts. Cited by 11 papers in the map (data through 7 Oct 2026). First posted on arXiv 28 Aug 2020.
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Citing papers per year: 2021: 1; 2022: 2; 2023: 5; 2024: 2; 2025: 0; 2026: 1.
11 papers.
- 2021Can Machine Learning Catch the COVID-19 Recession?cited by 6
- 2024Macroeconomic Forecasting with Large Language Modelscited by 6
- 2022Bayesian Neural Networks for Macroeconomic Analysiscited by 3
- 2023From Reactive to Proactive Volatility Modeling with Hemisphere Neural Networkscited by 2
- 2023Non-linear dimension reduction in factor-augmented vector autoregressionscited by 1
- 2023Bayesian Nonlinear Regression using Sums of Simple Functionscited by 1
- 2026Can LLMs Take the Pulse of the Economy? A Real-Time Evaluation of LLM Nowcasts on Macroeconomic Indicatorscited by 1
- 2022Performance of long short-term memory artificial neural networks in nowcasting during the COVID-19 crisiscited by 0
- 2023Generalized Autoregressive Score Trees and Forestscited by 0
- 2023Predictive Density Combination Using a Tree-Based Synthesis Functioncited by 0
- 2024Nowcasting with Mixed Frequency Data Using Gaussian Processescited by 0
- 2026Can LLMs Take the Pulse of the Economy? A Real-Time Evaluation of LLM Nowcasts on Macroeconomic Indicators31 Aug 2026
- 2024Macroeconomic Forecasting with Large Language Models1 Jul 2024
- 2024Nowcasting with Mixed Frequency Data Using Gaussian Processes16 Feb 2024
- 2023Bayesian Nonlinear Regression using Sums of Simple Functions4 Dec 2023
- 2023From Reactive to Proactive Volatility Modeling with Hemisphere Neural Networks27 Nov 2023
- 2023Predictive Density Combination Using a Tree-Based Synthesis Function21 Nov 2023
- 2023Non-linear dimension reduction in factor-augmented vector autoregressions9 Sep 2023
- 2023Generalized Autoregressive Score Trees and Forests30 May 2023
- 2022Bayesian Neural Networks for Macroeconomic Analysis9 Nov 2022
- 2022Performance of long short-term memory artificial neural networks in nowcasting during the COVID-19 crisis22 Mar 2022
- 2021Can Machine Learning Catch the COVID-19 Recession?1 Mar 2021